[R] Estimating EGARCH processes with R

Patrick Brandt brandt at unt.edu
Tue Aug 3 02:38:20 CEST 2004

There are a number of GARCH models available in the fSeries package -- 
including models with t an skew-t distributions.


Patrick T. Brandt
Assistant Professor
Department of Political Science
University of North Texas
brandt at unt.edu

Tsvetelin Tsvetanski wrote:

>I am a student specializing statistics and econometrics in germany. I know there is a way to program EGARCH-processes (time series analyses) in R. 
>If you are ackquainted with statistics already you know that there is nothing but a theorethical use of GARCH-Package in R. Not only because the distribution is gaussian, but also because the skewdness and leptokurthosis are not quite good estimated.
>Matlab Toolbox for estimating EGARCH-processes "GARCH 2.0.2" is therefore better, but not free....
>Well, the most things in life are not free, but knowledge must solve the problem.
>Can you help me construct own EGARCH function wth t-distribution in R?
>best regards
>Tsvetelin Tsvetanski
>	[[alternative HTML version deleted]]
>R-help at stat.math.ethz.ch mailing list
>PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html

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